Experimental results are presented that verify the formerly predicted possibility of the formation of a closed, spheromak-like magnetic configuration (SLMC) by the natural magnetic field of a plasma focus discharge. The model is based on the self-generated transformation of a toroidal (i.e., azimuthal) magnetic field into a poloidal one. At the final stage of the discharge, the SLMC takes the form of a squeezed spheromak, which includes a combined Z-ϑ-pinch at its major axis, exhibiting a power density several orders of magnitude larger than that measured experimentally on a force-free flux-conserver-confined spheromak formed by helicity injection. The results suggest the possibility of further concentrating the plasma power density by means of compressing the SLMC-trapped plasma by the residual magnetic field of the plasma focus discharge. A qualitative model is given for the scenario of the SLMC-producing plasma focus discharge. Special emphasis is placed on the difference of this approach from conventional approaches to the role of magnetic field reconnection processes in plasma focus dynamics. The operational conditions necessary to stimulate SLMC formation in high-current gaseous discharge systems and the uses of SLMC-trapped plasmas are discussed briefly.